COVID-19大流行对外汇市场的不对称影响:来自极端分位数方法的证据

IF 0.9 Q3 ECONOMICS

Economics and Business Letters Pub Date : 2023-03-26 DOI:10.17811/ebl.12.1.2023.20-32

Ngo Thai Hung, Vo Xuan Vinh

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引用次数: 2

摘要

本研究分析了2020年1月2日至2022年6月2日期间COVID-19大流行对主要外汇市场的不对称传播。本文通过研究COVID-19对货币市场的影响如何在市场条件和投资范围内共同移动，为文献做出了贡献。本文使用最近开发的交叉量化框架来实现这一目标，该框架在没有任何矩条件要求的情况下量化了跨时间序列的交叉分位数依赖性。研究结果表明，全球每日新冠肺炎确诊病例总数的变化可以预测所有市场环境下货币市场的变化。这些发现对全球投资者和政策制定者具有重要意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Asymmetric impact of the COVID-19 pandemic on foreign exchange markets: Evidence from an extreme quantile approach

This study analyzes asymmetric transmission from the COVID-19 pandemic to major foreign exchange markets from 2 January 2020 to 2 June 2022. This paper contributes to the literature by investigating how the impact of COVID-19 on currency markets co-moves across market conditions and investment horizons. The article uses the recently developed cross-quantilogram framework to achieve this, which quantifies the cross-quantile dependency across time series without any moment condition requirement. The findings demonstrate that changes in the total daily global confirmed cases of COVID-19 can forecast changes in the currency markets under all market circumstances. These findings have significant implications for global investors and policymakers.

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来源期刊

Economics and Business Letters ECONOMICS-

CiteScore

1.80

自引率

11.10%

发文量

期刊介绍： Economics and Business Letters is an open access journal that publishes both theoretical and empirical quality original papers in all economics and business fields. In addition, relevant discussions on current policy issues will be considered for the Policy Watch section. As general strategy of EBL, the journal will launch calls for papers for special issues on topics of interest, generally with invited guest editors. The maximum length of the letters is limited to 2,500 words.